Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Multi-Strategy Program (MSP) is an approximate 50/50 combination of the Spread Trading Program (STP) and the Long-Short Commodity Program (LSCP). STP seeks non-correlated alpha through the spread and relative value trading of exchange-listed futures and options that are primarily commodity contracts. Quantitative research and significant discretion are used in trade selection and execution. The LSCP is a short to medium-term systematic program with a discretionary overlay that trades outright positions on 13 exchange-listed commodity futures contracts. The program uses multiple trend models on both outright and calendar spread data and analyzes historical spread levels to generate daily trade signals. The MSP is designed to generate returns that have a low to negative correlation to most CTA and commodity programs.

Performance Statistics

Date Range: 04/14 - 04/19

Program

S&P 500

Altegris 40

Total Return

12.15%

74.70%

18.23%

Annualized Return

2.32%

11.60%

3.35%

Annualized Std. Deviation

6.88%

11.09%

8.68%

Correlation

-0.15

0.07

Sharpe Ratio (rf=2.5%)

-0.03

0.82

0.10

Worst Month

-4.29%

-9.03%

-6.10%

Date of Worst Month

12/2018

12/2018

02/2018

Worst Drawdown

-7.59%

-13.52%

-13.63%

Date of Worst Drawdown

8/17 - 2/19

9/18 - 12/18

3/15 - 1/19

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/14 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

-2.05

18.24

5.17

2018

-2.36

-4.38

-4.29

2017

4.67

21.84

1.24

2016

6.23

11.98

-3.13

2015

5.37

1.41

0.09

2014

0.08

10.86

18.75

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/14 - 04/19

Note: All performance data is since program inception.

Monthly Returns

Date Range: 04/14 - 04/19

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/14 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Date Range: 04/14 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:

Emil Van Essen, LLC

Address:

425 S Financial Place, Suite 910E

City:

Chicago

State:

IL

Zip:

60605

Country:

USA

Key People

Name:

Emil Van Essen

Position:

Principal

Biography:

Emil van Essen is the CIO & CEO of EMIL VAN ESSEN LLC a registered CTA. Emil has more than 20 years of experience in the futures industry in both Canada and the U.S. Additionally, he has been a registered Commodity Trading Advisor since 1997. His positions in the futures industry have included being an Institutional Futures Specialist for Prudential Securities, Director of Quantitative Futures Analysis at REFCO Global Ltd. LLC, Chicago, and Director of Managed Futures for the Bank of Montreal in Toronto, Canada. At Bank of Montreal, Mr. van Essen established its managed futures operations and began testing and developing a Commodity Trading Advisor (CTA) selection model.
Emil studied honors mathematics at the University of Waterloo in Waterloo, Ontario from 1983 to 1986. Emil left the University of Waterloo to accept a highly regarded position at Prudential Bache Securities where he became one of the youngest brokers to qualify for Vice-Presidency and to be accepted into Prudential's elite International Presidents Club. He holds a Series 3 license. Emil has been a member of Mensa, has won awards for achievement in mathematics, and has authored two books on systematic futures trading.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.